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Managed futures

Barclay CTA Index down 0.39 per cent in November

Managed futures lost 0.39 per cent in November, according to the Barclay CTA Index compiled by BarclayHedge.

The index has lost 1.45 per cent year to date, compared to a gain of 0.73 per cent in the S&P GSCI Index.

“Profitable positions in the continuing uptrend in bond markets and the downtrend in the Japanese yen were insufficient to overcome losses in other sectors,” says Sol Waksman, founder and president of BarclayHedge.

Five of Barclay’s eight CTA indices had losses in November. The Agricultural Traders Index dropped 1.23 per cent, diversified traders gave up 0.50 per cent, and systematic traders lost 0.39 per cent.

“Although the Commodity Research Bureau Index gained 1.10 percent on the month, dispersion across the sector was high as prices for precious and industrial metals rose, energy was mixed, and agricultural markets moved lower,” says Waksman.

The Barclay BTOP50 Index, which measures performance of the largest CTAs, led all managed futures indices in November with a 0.34 per cent gain. Currency traders were up 0.26 per cent, and discretionary traders added 0.04 per cent.

Year to date, the Agricultural Traders Index has gained 6.53 per cent, discretionary traders have gained 2.02 per cent, and currency traders have a 1.15 per cent return.

Diversified traders are down 3.36 per cent in 2012, systematic traders have lost 3.01 per cent, and the Financial & Metals Traders Index is down 2.54 per cent.

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